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Dependence Modeling

Short Title: Depend. Model.
Publisher: De Gruyter, Warsaw
ISSN: 2300-2298/e
Online: https://www.degruyter.com/view/j/demo
Comments: Indexed cover-to-cover; Published electronic only as of Vol. 1 (2013). This journal is available open access.
Documents Indexed: 158 Publications (since 2013)
References Indexed: 156 Publications with 5,059 References.
all top 5

Authors

10 Puccetti, Giovanni
9 Durante, Fabrizio
8 Scherer, Matthias
6 Rüschendorf, Ludger
6 Trutschnig, Wolfgang
5 Fernández-Sánchez, Juan
5 Fuchs, Sebastian L.
5 Mai, Jan-Frederik
5 Vanduffel, Steven
4 Genest, Christian
4 Jaworski, Piotr
4 Pfeifer, Dietmar
4 Richter, Wolf-Dieter
4 Spizzichino, Fabio L.
4 Valdez, Emiliano A.
3 Bernard, Carole L.
3 Girard, Stéphane
3 Klement, Erich Peter
3 Liebscher, Eckhard
3 Mändle, Andreas
3 Mesfioui, Mhamed
3 Mesiar, Radko
3 Ragulina, Olena
3 Ressel, Paul
3 Rullière, Didier
3 Saminger-Platz, Susanne
2 Alquier, Pierre
2 Ansari, Jonathan
2 Cooke, Roger Marvin
2 Czado, Claudia
2 Derumigny, Alexis
2 Deschatre, Thomas
2 Di Bernardino, Elena
2 Dickhaus, Thorsten
2 Embrechts, Paul
2 Fermanian, Jean-David
2 Gan, Guojun
2 Girschig, Côme
2 Guzmics, Sándor
2 Jaser, Miriam
2 Kamnitui, Noppadon
2 Kolesárová, Anna
2 Lee, Jeonghwa
2 Maume-Deschamps, Véronique
2 Min, Aleksey
2 Nagler, Thomas
2 Nappo, Giovanna
2 Pflug, Georg Ch.
2 Šeliga, Adam
2 Slaoui, Yousri
2 Steffen, Nico
2 Uryasev, Stan
2 Zitikis, Ričardas
1 Aas, Kjersti
1 Acciaio, Beatrice
1 Ackerer, Damien
1 Ahmad, Aboubacrène Ag
1 Ahn, Jae Youn
1 Alvo, Mayer
1 Anatolyev, Stanislav
1 Arbel, Julyan
1 Arias García, José De Jesús
1 Arnold, Barry Charles
1 Arvanitis, Matthew A.
1 Bahraoui, Tarik
1 Bélisle, Louis
1 Benoumechiara, Nazih
1 Bentoumi, Rachid
1 Bernhart, German
1 Berti, Patrizia
1 Billio, Monica
1 Boglioni Beaulieu, Guillaume
1 Bonollo, Michele
1 Boonmee, Prakassawat
1 Bouchentouf, Amina Angelika
1 Bouezmarni, Taoufik
1 Bouhadjera, Feriel
1 Bousquet, Nicolas
1 Bozbulut, Ali Riza
1 Bücher, Axel
1 Burda, Martin
1 Chebana, Fateh
1 Chen, Shengzhong
1 Cirillo, Pasquale
1 Claeskens, Gerda
1 Constantinescu, Corina D.
1 Cooray, Kahadawala
1 Cuberos, A.
1 Dang, Xin
1 Deme, El Hadji
1 Devolder, Pierre
1 Di Persio, Luca
1 Diallo, Aldiouma
1 Diongue, Abdou Kâ
1 Diop, Aliou
1 Dobrić, Jadran
1 Doukhan, Paul
1 Dutfoy, Anne
1 Eryılmaz, Serkan N.
1 Falk, Michael
...and 139 more Authors

Publications by Year

Citations contained in zbMATH Open

97 Publications have been cited 315 times in 242 Documents Cited by Year
VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175
Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis
15
2016
Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244
Taylor, M. D.
13
2016
On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005
Di Bernardino, Elena; Rullière, Didier
12
2013
Multivariate extensions of expectiles risk measures. Zbl 1358.91113
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
11
2017
Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671
Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan
9
2013
An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046
Gan, Guojun; Valdez, Emiliano A.
9
2016
Copula-based dependence measures. Zbl 1328.62368
Liebscher, Eckhard
8
2014
Prediction of time series by statistical learning: general losses and fast rates. Zbl 06297673
Alquier, Pierre; Li, Xiaoyin; Wintenberger, Olivier
8
2013
About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159
Derumigny, Alexis; Fermanian, Jean-David
8
2017
A biconvex form for copulas. Zbl 1349.62175
Fuchs, Sebastian
8
2016
VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284
Rüschendorf, Ludger; Witting, Julian
6
2017
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054
Górecki, J.; Hofert, M.; Holeňa, M.
6
2017
Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034
Nagler, Thomas; Schellhase, Christian; Czado, Claudia
6
2017
Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063
Faugeras, Olivier P.
6
2017
Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020
Fernández-Sánchez, Juan; Úbeda-Flores, Manuel
6
2018
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320
Gan, Guojun; Valdez, Emiliano A.
6
2017
New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177
Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme
6
2016
Copula-induced measures of concordance. Zbl 1349.62237
Fuchs, Sebastian
6
2016
Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144
Müller, K.; Richter, W.-D.
6
2016
On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166
Jaworski, Piotr
6
2017
Are law-invariant risk functions concave on distributions? Zbl 1290.91072
Acciaio, Beatrice; Svindland, Gregor
5
2013
Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057
Navarro, Jorge; Sordo, Miguel A.
5
2018
New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena
5
2017
A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026
Jaser, Miriam; Haug, Stephan; Min, Aleksey
5
2017
The strong Fatou property of risk measures. Zbl 1430.91132
Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos
5
2018
Dependence measuring from conditional variances. Zbl 1354.60007
Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat
5
2015
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
5
2015
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028
Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias
4
2015
Dependence of stock returns in bull and bear markets. Zbl 06297674
Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich
4
2013
Baire category results for quasi-copulas. Zbl 1366.60040
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
4
2016
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
4
2015
Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
3
2014
Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio
3
2015
A note on the Galambos copula and its associated Berstein function. Zbl 06313233
Mai, Jan-Frederik
3
2014
Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181
Jakob, Kevin; Fischer, Matthias
3
2014
Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283
Rüschendorf, L.
3
2018
An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023
Oertel, Frank
3
2015
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091
Di Bernardino, Elena; Rullière, Didier
3
2016
Cost-efficiency in multivariate Lévy models. Zbl 1320.91146
Rüschendorf, Ludger; Wolf, Viktor
2
2015
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
2
2015
Forecasting time series with multivariate copulas. Zbl 1328.62546
Simard, Clarence; Rémillard, Bruno
2
2015
Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment. Zbl 1328.62370
Qoyyimi, Danang Teguh; Zitikis, Ricardas
2
2015
Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058
Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter
2
2017
On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109
Pan, Xiaoqing; Li, Xiaohu
2
2017
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114
Puccetti, Giovanni; Scherer, Matthias
2
2018
Dependent defaults and losses with factor copula models. Zbl 1391.60027
Ackerer, Damien; Vatter, Thibault
2
2017
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311
Jin, Xisong; Lehnert, Thorsten
2
2018
Maximum asymmetry of copulas revisited. Zbl 1390.60059
Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
2
2018
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331
Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano
2
2018
Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171
Alquier, Pierre; Doukhan, Paul; Fan, Xiequan
2
2019
New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme
2
2019
Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053
Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika
2
2018
Ordering risk bounds in factor models. Zbl 1434.62076
Ansari, Jonathan; Rüschendorf, Ludger
2
2018
Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077
Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François
2
2018
A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085
Ressel, Paul
2
2018
Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033
Guzmics, Sándor; Pflug, Georg Ch.
2
2019
Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076
Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B.
2
2016
Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429
Preischl, Michael
2
2016
Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152
Boonmee, Prakassawat; Tasena, Santi
2
2020
Study of partial and average conditional Kendall’s tau. Zbl 1476.62091
Gijbels, Irène; Matterne, Margot
1
2021
Some new random effect models for correlated binary responses. Zbl 1328.62312
Tounkara, Fodé; Rivest, Louis-Paul
1
2014
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
On truncation invariant copulas and their estimation. Zbl 1404.62056
Jaworski, Piotr
1
2017
A generalized class of correlated run shock models. Zbl 1404.62100
Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza
1
2018
Copula-based dependence measures for piecewise monotonicity. Zbl 06839230
Liebscher, Eckhard
1
2017
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101
Ren, Jiandong; Zitikis, Ričardas
1
2017
Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025
Cooray, Kahadawala
1
2018
Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069
Hashorva, Enkelejd
1
2018
On the lower bound of Spearman’s footrule. Zbl 1439.62130
Fuchs, Sebastian; Mccord, Yann
1
2019
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065
Mai, Jan-Frederik
1
2019
Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214
Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H.
1
2019
A latent class analysis towards stability and changes in breadwinning patterns among coupled households. Zbl 1439.62251
Pennoni, Fulvia; Nakai, Miki
1
2019
Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107
Ressel, Paul
1
2019
On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046
Falk, Michael; Stupfler, Gilles
1
2019
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149
Derumigny, Alexis; Fermanian, Jean-David
1
2019
On Copula-Itô processes. Zbl 1439.62132
Jaworski, Piotr
1
2019
Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099
Slaoui, Yousri
1
2019
Law invariant risk measures and information divergences. Zbl 1430.91134
Lacker, Daniel
1
2018
Transformation of a copula using the associated co-copula. Zbl 1434.62081
Girard, Stéphane
1
2018
A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086
Trutschnig, Wolfgang; Mroz, Thomas
1
2018
Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131
Quan, Zhiyu; Valdez, Emiliano A.
1
2018
On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083
Deschatre, Thomas
1
2016
Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058
Pellerey, Franco; Spizzichino, Fabio
1
2016
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154
Müller, K.; Richter, W.-D.
1
2016
High level quantile approximations of sums of risks. Zbl 1329.62302
Cuberos, A.; Masiello, E.; Maume-Deschamps, V.
1
2015
Multivariate Markov families of copulas. Zbl 1335.60134
Overbeck, Ludger; Schmidt, Wolfgang M.
1
2015
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
1
2015
Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. Zbl 1414.91179
Devolder, Pierre; Lebègue, Adrien
1
2016
Robustness regions for measures of risk aggregation. Zbl 1356.91106
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas
1
2016
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024
Bernard, Carole; Müller, Alfred
1
2020
Copula modeling for discrete random vectors. Zbl 1460.62071
Geenens, Gery
1
2020
Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 07426521
Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter
1
2021
Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040
Ansari, Jonathan; Rüschendorf, Ludger
1
2021
Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. Zbl 07478931
Mercadier, Cécile; Ressel, Paul
1
2021
Study of partial and average conditional Kendall’s tau. Zbl 1476.62091
Gijbels, Irène; Matterne, Margot
1
2021
Polynomial bivariate copulas of degree five: characterization and some particular inequalities. Zbl 07426521
Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter
1
2021
Sklar’s theorem, copula products, and ordering results in factor models. Zbl 1479.60040
Ansari, Jonathan; Rüschendorf, Ludger
1
2021
Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. Zbl 07478931
Mercadier, Cécile; Ressel, Paul
1
2021
Quadratic transformation of multivariate aggregation functions. Zbl 1457.62152
Boonmee, Prakassawat; Tasena, Santi
2
2020
Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference. Zbl 1453.60024
Bernard, Carole; Müller, Alfred
1
2020
Copula modeling for discrete random vectors. Zbl 1460.62071
Geenens, Gery
1
2020
Exponential inequalities for nonstationary Markov chains. Zbl 1434.60171
Alquier, Pierre; Doukhan, Paul; Fan, Xiequan
2
2019
New copulas based on general partitions-of-unity. III: The continuous case. Zbl 1439.62133
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme
2
2019
Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033
Guzmics, Sándor; Pflug, Georg Ch.
2
2019
On the lower bound of Spearman’s footrule. Zbl 1439.62130
Fuchs, Sebastian; Mccord, Yann
1
2019
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Zbl 1448.62065
Mai, Jan-Frederik
1
2019
Probability of ruin in discrete insurance risk model with dependent Pareto claims. Zbl 1439.62214
Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H.
1
2019
A latent class analysis towards stability and changes in breadwinning patterns among coupled households. Zbl 1439.62251
Pennoni, Fulvia; Nakai, Miki
1
2019
Copulas, stable tail dependence functions, and multivariate monotonicity. Zbl 1445.62107
Ressel, Paul
1
2019
On a class of norms generated by nonnegative integrable distributions. Zbl 1447.60046
Falk, Michael; Stupfler, Gilles
1
2019
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior. Zbl 1439.62149
Derumigny, Alexis; Fermanian, Jean-David
1
2019
On Copula-Itô processes. Zbl 1439.62132
Jaworski, Piotr
1
2019
Optimal bandwidth selection for recursive Gumbel kernel density estimators. Zbl 1439.62099
Slaoui, Yousri
1
2019
Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations. Zbl 1402.60020
Fernández-Sánchez, Juan; Úbeda-Flores, Manuel
6
2018
Stochastic comparisons and bounds for conditional distributions by using copula properties. Zbl 1404.62057
Navarro, Jorge; Sordo, Miguel A.
5
2018
The strong Fatou property of risk measures. Zbl 1430.91132
Chen, Shengzhong; Gao, Niushan; Xanthos, Foivos
5
2018
Risk bounds with additional information on functionals of the risk vector. Zbl 1417.91283
Rüschendorf, L.
3
2018
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114
Puccetti, Giovanni; Scherer, Matthias
2
2018
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Zbl 1392.62311
Jin, Xisong; Lehnert, Thorsten
2
2018
Maximum asymmetry of copulas revisited. Zbl 1390.60059
Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
2
2018
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? Zbl 1394.91331
Hüttner, Amelie; Mai, Jan-Frederik; Mineo, Stefano
2
2018
Strong uniform consistency rates of conditional quantile estimation in the single functional index model under random censorship. Zbl 1434.62053
Kadiri, Nadia; Rabhi, Abbes; Bouchentouf, Amina Angelika
2
2018
Ordering risk bounds in factor models. Zbl 1434.62076
Ansari, Jonathan; Rüschendorf, Ludger
2
2018
Testing the symmetry of a dependence structure with a characteristic function. Zbl 1434.62077
Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François
2
2018
A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. Zbl 1434.62085
Ressel, Paul
2
2018
A generalized class of correlated run shock models. Zbl 1404.62100
Yalcin, Femin; Eryilmaz, Serkan; Bozbulut, Ali Riza
1
2018
Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. Zbl 1393.62025
Cooray, Kahadawala
1
2018
Domination of sample maxima and related extremal dependence measures. Zbl 1391.60069
Hashorva, Enkelejd
1
2018
Law invariant risk measures and information divergences. Zbl 1430.91134
Lacker, Daniel
1
2018
Transformation of a copula using the associated co-copula. Zbl 1434.62081
Girard, Stéphane
1
2018
A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. Zbl 1434.62086
Trutschnig, Wolfgang; Mroz, Thomas
1
2018
Predictive analytics of insurance claims using multivariate decision trees. Zbl 1434.62131
Quan, Zhiyu; Valdez, Emiliano A.
1
2018
Multivariate extensions of expectiles risk measures. Zbl 1358.91113
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil
11
2017
About tests of the “simplifying” assumption for conditional copulas. Zbl 1383.62159
Derumigny, Alexis; Fermanian, Jean-David
8
2017
VaR bounds in models with partial dependence information on subgroups. Zbl 1417.91284
Rüschendorf, Ludger; Witting, Julian
6
2017
Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Zbl 1404.62054
Górecki, J.; Hofert, M.; Holeňa, M.
6
2017
Nonparametric estimation of simplified vine copula models: comparison of methods. Zbl 1404.62034
Nagler, Thomas; Schellhase, Christian; Czado, Claudia
6
2017
Inference for copula modeling of discrete data: a cautionary tale and some facts. Zbl 1404.62063
Faugeras, Olivier P.
6
2017
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Zbl 1390.91320
Gan, Guojun; Valdez, Emiliano A.
6
2017
On conditional value at risk (CoVaR) for tail-dependent copulas. Zbl 1359.62166
Jaworski, Piotr
6
2017
New copulas based on general partitions-of-unity and their applications to risk management. II. Zbl 1381.62075
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena
5
2017
A simple non-parametric goodness-of-fit test for elliptical copulas. Zbl 1393.62026
Jaser, Miriam; Haug, Stephan; Min, Aleksey
5
2017
Characterizations of bivariate conic, extreme value, and Archimax copulas. Zbl 1404.62058
Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter
2
2017
On capital allocation for stochastic arrangement increasing actuarial risks. Zbl 1404.62109
Pan, Xiaoqing; Li, Xiaohu
2
2017
Dependent defaults and losses with factor copula models. Zbl 1391.60027
Ackerer, Damien; Vatter, Thibault
2
2017
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
On truncation invariant copulas and their estimation. Zbl 1404.62056
Jaworski, Piotr
1
2017
Copula-based dependence measures for piecewise monotonicity. Zbl 06839230
Liebscher, Eckhard
1
2017
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
CMPH: a multivariate phase-type aggregate loss distribution. Zbl 1393.91101
Ren, Jiandong; Zitikis, Ričardas
1
2017
VaR bounds for joint portfolios with dependence constraints. Zbl 1386.91175
Puccetti, Giovanni; Rüschendorf, Ludger; Manko, Dennis
15
2016
Multivariate measures of concordance for copulas and their marginals. Zbl 1349.62244
Taylor, M. D.
13
2016
An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios. Zbl 1382.91046
Gan, Guojun; Valdez, Emiliano A.
9
2016
A biconvex form for copulas. Zbl 1349.62175
Fuchs, Sebastian
8
2016
New copulas based on general partitions-of-unity and their applications to risk management. Zbl 1349.62177
Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme
6
2016
Copula-induced measures of concordance. Zbl 1349.62237
Fuchs, Sebastian
6
2016
Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables. Zbl 1388.62144
Müller, K.; Richter, W.-D.
6
2016
Baire category results for quasi-copulas. Zbl 1366.60040
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
4
2016
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. Zbl 1352.62091
Di Bernardino, Elena; Rullière, Didier
3
2016
Bregman superquantiles. Estimation methods and applications. Zbl 1348.62076
Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B.
2
2016
Bounds on integrals with respect to multivariate copulas. Zbl 1414.91429
Preischl, Michael
2
2016
On the control of the difference between two Brownian motions: a dynamic copula approach. Zbl 1350.60083
Deschatre, Thomas
1
2016
Joint weak hazard rate order under non-symmetric copulas. Zbl 1375.60058
Pellerey, Franco; Spizzichino, Fabio
1
2016
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). Zbl 1388.62154
Müller, K.; Richter, W.-D.
1
2016
Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances. Zbl 1414.91179
Devolder, Pierre; Lebègue, Adrien
1
2016
Robustness regions for measures of risk aggregation. Zbl 1356.91106
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas
1
2016
Dependence measuring from conditional variances. Zbl 1354.60007
Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat
5
2015
Seven proofs for the subadditivity of expected shortfall. Zbl 1331.91203
Embrechts, Paul; Wang, Ruodu
5
2015
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028
Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias
4
2015
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
4
2015
Equivalent or absolutely continuous probability measures with given marginals. Zbl 1328.60007
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro; Spizzichino, Fabio
3
2015
An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. Zbl 1406.60023
Oertel, Frank
3
2015
Cost-efficiency in multivariate Lévy models. Zbl 1320.91146
Rüschendorf, Ludger; Wolf, Viktor
2
2015
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
2
2015
Forecasting time series with multivariate copulas. Zbl 1328.62546
Simard, Clarence; Rémillard, Bruno
2
2015
Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment. Zbl 1328.62370
Qoyyimi, Danang Teguh; Zitikis, Ricardas
2
2015
High level quantile approximations of sums of risks. Zbl 1329.62302
Cuberos, A.; Masiello, E.; Maume-Deschamps, V.
1
2015
Multivariate Markov families of copulas. Zbl 1335.60134
Overbeck, Ludger; Schmidt, Wolfgang M.
1
2015
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
1
2015
Copula-based dependence measures. Zbl 1328.62368
Liebscher, Eckhard
8
2014
Solution to an open problem about a transformation on the space of copulas. Zbl 1328.62304
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang
3
2014
A note on the Galambos copula and its associated Berstein function. Zbl 06313233
Mai, Jan-Frederik
3
2014
Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study. Zbl 1292.91181
Jakob, Kevin; Fischer, Matthias
3
2014
Some new random effect models for correlated binary responses. Zbl 1328.62312
Tounkara, Fodé; Rivest, Louis-Paul
1
2014
On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators. Zbl 1287.62005
Di Bernardino, Elena; Rullière, Didier
12
2013
Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence. Zbl 06297671
Bernard, Carole; Liu, Yuntao; MacGillivray, Niall; Zhang, Jinyuan
9
2013
Prediction of time series by statistical learning: general losses and fast rates. Zbl 06297673
Alquier, Pierre; Li, Xiaoyin; Wintenberger, Olivier
8
2013
Are law-invariant risk functions concave on distributions? Zbl 1290.91072
Acciaio, Beatrice; Svindland, Gregor
5
2013
Dependence of stock returns in bull and bear markets. Zbl 06297674
Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich
4
2013
all top 5

Cited by 346 Authors

12 Fuchs, Sebastian L.
11 Rüschendorf, Ludger
10 Durante, Fabrizio
10 Fernández-Sánchez, Juan
9 Wang, Ruodu
8 Puccetti, Giovanni
8 Trutschnig, Wolfgang
7 Richter, Wolf-Dieter
7 Rullière, Didier
6 Genest, Christian
6 Mai, Jan-Frederik
6 Úbeda-Flores, Manuel
6 Vanduffel, Steven
5 Di Bernardino, Elena
5 Gan, Guojun
5 Hofert, Marius
5 Valdez, Emiliano A.
5 Zitikis, Ričardas
4 Alquier, Pierre
4 Mesiar, Radko
4 Papapantoleon, Antonis
4 Pfeifer, Dietmar
4 Tasena, Santi
3 Ansari, Jonathan
3 Arias García, J. J.
3 Bignozzi, Valeria
3 Bouzebda, Salim
3 De Baets, Bernard
3 Fermanian, Jean-David
3 Girard, Stéphane
3 Jaworski, Piotr
3 Liebscher, Eckhard
3 Liu, Haiyan
3 Lux, Thibaut
3 Mailhot, Mélina
3 Min, Aleksey
3 Ragulina, Olena
3 Scherer, Matthias
2 Ackerer, Damien
2 Bellini, Fabio
2 Bernard, Carole L.
2 Boonmee, Prakassawat
2 Cornilly, Dries
2 Davydov, Youri
2 Derumigny, Alexis
2 Doukhan, Paul
2 Embrechts, Paul
2 Gadat, Sébastien
2 Garnier, Rémy
2 Górecki, Jan
2 Gribkova, Nadezhda Viktorovna
2 Griessenberger, Florian
2 Guedj, Benjamin
2 Gweon, Hyukjun
2 Hashorva, Enkelejd
2 Herrmann, Klaus
2 Jaser, Miriam
2 Joe, Harry
2 Junker, Robert R.
2 Kamnitui, Noppadon
2 Klement, Erich Peter
2 Kokol-Bukovšek, Damjana
2 Kolesárová, Anna
2 Košir, Tomaž
2 Kuznetsov, Vitalii A.
2 Lacker, Daniel
2 Laksaci, Ali
2 Li, Shu
2 Mändle, Andreas
2 Mao, Tiantian
2 Maume-Deschamps, Véronique
2 McCord, Yann
2 Mercadier, Cécile
2 Mohammedi, Mustapha
2 Mohri, Mehryar
2 Mojškerc, Blaž
2 Munari, Cosimo
2 Navarro, Jorge
2 Nešlehová, Johanna G.
2 Omladič, Matjaž
2 Quesada-Molina, José Juan
2 Quessy, Jean-François
2 Ressel, Paul
2 Rigo, Pietro
2 Roustant, Olivier
2 Saminger-Platz, Susanne
2 Schmidt, Klaus D.
2 Šeliga, Adam
2 Sordo, Miguel Ángel
2 Suarez-Llorens, Alfonso
2 Sumetkijakan, Songkiat
2 Xanthos, Foivos
2 Yang, Jingping
1 Aas, Kjersti
1 Afuecheta, Emmanuel
1 Ahn, Jae Youn
1 Akkal, Fatima
1 Aldhufairi, Fadal A. A.
1 Algeri, Sara
1 Anand, Sonia
...and 246 more Authors
all top 5

Cited in 70 Journals

55 Dependence Modeling
19 Insurance Mathematics & Economics
17 Journal of Multivariate Analysis
11 Fuzzy Sets and Systems
7 Computational Statistics and Data Analysis
7 Electronic Journal of Statistics
6 Journal of Mathematical Analysis and Applications
6 Statistics & Probability Letters
6 ASTIN Bulletin
6 Journal of Statistical Distributions and Applications
5 North American Actuarial Journal
4 Information Sciences
4 European Journal of Operational Research
4 Statistics & Risk Modeling
3 Journal of Computational and Applied Mathematics
3 International Journal of Approximate Reasoning
3 Machine Learning
3 Journal of Statistical Computation and Simulation
3 Scandinavian Actuarial Journal
3 Statistical Methods and Applications
2 Journal of Optimization Theory and Applications
2 Journal of Statistical Planning and Inference
2 Mathematics of Operations Research
2 Metron
2 Annals of Operations Research
2 Computational Statistics
2 Statistical Papers
2 Journal of Nonparametric Statistics
2 CEJOR. Central European Journal of Operations Research
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Thai Journal of Mathematics
2 SIAM Journal on Financial Mathematics
2 Sankhyā. Series A
2 Statistics and Computing
1 Advances in Applied Probability
1 Annals of the Institute of Statistical Mathematics
1 Archiv der Mathematik
1 Biometrical Journal
1 Biometrics
1 Journal of Applied Probability
1 Journal of Econometrics
1 Kybernetika
1 Operations Research
1 SIAM Journal on Control and Optimization
1 Statistica
1 Statistics
1 Journal of Theoretical Probability
1 The Annals of Applied Probability
1 Applied Mathematical Modelling
1 Communications in Statistics. Theory and Methods
1 Stochastic Processes and their Applications
1 Mathematical Programming. Series A. Series B
1 Mathematical Methods of Statistics
1 Annals of Mathematics and Artificial Intelligence
1 Finance and Stochastics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Journal of Applied Statistics
1 Extremes
1 Methodology and Computing in Applied Probability
1 Decisions in Economics and Finance
1 4OR
1 Journal of the Korean Statistical Society
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Journal of Statistical Theory and Practice
1 Acta Universitatis Sapientiae. Mathematica
1 Probability Surveys
1 Journal of Probability and Statistics
1 Modern Stochastics. Theory and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 AIMS Mathematics

Citations by Year